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However, I wish it were easier to setup the internet on Linux like it is on Windows and MacOS.[/QUOTE]
It depends on your distro, hardware and internet connection. Its fairly simple to setup wired connections. Wireless connections are a different matter because most use proprietary chipsets.

If you have a wired connection, then it shouldn't be too complicated. Usually the setup is done interactively during setting or automatically when you are running from a live cd. Since you are using PCLinuxOS, it should be a matter of running the control center, go to the networking section and choose the option to setup a new connection.